AnalyticHestonEngine (3) Linux Manual Page

ql/pricingengines/vanilla/analytichestonengine.hpp – analytic Heston-model engine

Synopsis

#include <ql/math/integrals/integral.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <boost/function.hpp>
#include <complex>

Classes

class AnalyticHestonEngine
analytic Heston-model engine based on Fourier transform

Detailed Description

analytic Heston-model engine

Author

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